Caps are equivalent to an open circuit under DC current and similar to a resistor under AC current. Well i really don't know if a 10uF is the correct value for what you are trying to do but if so, you just have to place it in the middle of the line, that is this way:
LM386(output)-Wire-Cap-Wire-LED(+)-LED(-)-Wire-GND
Is it clear? However tha bad thing is that may be the led won't get enough current or voltage for lighting up, but test it if you want.